Economy-level information transfer

Indices used

Index Name Country n Source
^GSPC S&P 500 USA 500 Link
^N100 Euronext 100 Europe 100 Link
^N225 Nikkei 225 Japan 225 Link
^BVSP Bovespa Index Brazil 70 Link

External module used

https://github.com/gregversteeg/NPEET/blob/master/npeet/entropy_estimators.py

Data preprocess

Read data

Compute Daily return

$$ r_t=\ln{p}_t-\ln{p}_{t-1} $$

Merge data

Analysis

Shannon entropy

Transfer Entropy

Monthly

Yearly

Matrix

Row index -> source index

Column -> Destination index

Total Transfer Entropy Contribution by Market

Industry-level information transfer

ETF used

Index Name Industry Source
USO United States Oil Fund Oil Link
ICLN iShares Global Clean Energy ETF Renewable Energy Link
JETS U.S. Global Jets ETF Airline Link
IYT iShares Transportation Average ETF Transportation Link
XLP Consumer Staples Select Sector SPDR Fund Consumer staples Link
SMH VanEck Vectors Semiconductor ETF Semiconductor Link
IXP iShares Global Comm Services ETF Telecom Link
VGT Vanguard Information Technology Index Fund Technology Link
XPH SPDR S&P Pharmaceuticals ETF Pharmaceutical Link

Import data

Transfer Entropy of all pairs of indices

Use all of the available historical data for each index

Use the longest contiguous intersection of all ETF (2015-05-02 to 2020-10-31)

Yearly transfer entropy contribution

Net information flow between industries

Oil & Transportation

Oil & Renewable Energy

Oil & Technology

Semiconductor & Technology

Transportation & Renewable Energy

Company level information transfer

Index Name Industry Source
XOM ExxonMobil Oil Link
DAL Delta Airline Airline Link

Articles on Exxon Mobil from 2016: Link